Instability in cointegration regressions : a brief review with an application to money demand in Portugal

Detalhes bibliográficos
Autor(a) principal: Gabriel, Vasco J. C. R. De A.
Data de Publicação: 2003
Outros Autores: Lopes, Artur Silva, Nunes, Luis C
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/17718
Resumo: This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
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spelling Instability in cointegration regressions : a brief review with an application to money demand in PortugalThis study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.Taylor & FrancisRepositório da Universidade de LisboaGabriel, Vasco J. C. R. De A.Lopes, Artur SilvaNunes, Luis C2019-04-10T09:31:09Z20032003-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/17718engGabriel, Vasco J. C. R. De A., Artur Silva Lopes e Luís C. Nunes (2003). "Instability in cointegration regressions : a brief review with an application to money demand in Portugal". Applied Economics, 35(8):893-9000003-684610.1080/0003684022000018187info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:47:22Zoai:www.repository.utl.pt:10400.5/17718Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:02:54.301476Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title Instability in cointegration regressions : a brief review with an application to money demand in Portugal
spellingShingle Instability in cointegration regressions : a brief review with an application to money demand in Portugal
Gabriel, Vasco J. C. R. De A.
title_short Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_full Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_fullStr Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_full_unstemmed Instability in cointegration regressions : a brief review with an application to money demand in Portugal
title_sort Instability in cointegration regressions : a brief review with an application to money demand in Portugal
author Gabriel, Vasco J. C. R. De A.
author_facet Gabriel, Vasco J. C. R. De A.
Lopes, Artur Silva
Nunes, Luis C
author_role author
author2 Lopes, Artur Silva
Nunes, Luis C
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Gabriel, Vasco J. C. R. De A.
Lopes, Artur Silva
Nunes, Luis C
description This study addresses some modelling questions related to the possibility of structural change in models with nonstationary variables. Focusing on cointegration issues, some methodological aspects are discussed, attempting to integrate coherently the several steps of the modelling strategy. These range from unit root to cointegration testing and to testing for instability in the cointegration vector. An empirical example with Portuguese data tries to illustrate the usefulness of this approach, where a simple money demand function is estimated using an error-correction model (ECM). If a break is explicitly allowed in the cointegration vector the forecasting performance of the ECM improves.
publishDate 2003
dc.date.none.fl_str_mv 2003
2003-01-01T00:00:00Z
2019-04-10T09:31:09Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/17718
url http://hdl.handle.net/10400.5/17718
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Gabriel, Vasco J. C. R. De A., Artur Silva Lopes e Luís C. Nunes (2003). "Instability in cointegration regressions : a brief review with an application to money demand in Portugal". Applied Economics, 35(8):893-900
0003-6846
10.1080/0003684022000018187
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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